I earned my Ph.D. from the U. of Chicago (Economics) with courses from at least five Nobel Prize winners (Becker, Fama, Friedman, Miller, and Scholes). I was Fischer Black’s research assistant for scholarly and consulting projects, and teaching assistant for his course on financial instruments and ...more

I earned my Ph.D. from the U. of Chicago (Economics) with courses from at least five Nobel Prize winners (Becker, Fama, Friedman, Miller, and Scholes). I was Fischer Black’s research assistant for scholarly and consulting projects, and teaching assistant for his course on financial instruments and institutions. Hearing some of the best scholars explain their specialties humbled and inspired me. The major theme of my three careers has been modeling the value and risk of derivative products (swaps, options, etc.) and managing "model risk". Modeling market equity risk, interest rate risk, and credit risk are elements of this theme. 1. My academic career's high point was “The value of an option to exchange one asset for another,” (J.Finance, 1978). Value depends on volatility of two assets, and correlation. Over 1500 papers cite, apply, and/or extend ideas in my article. 2. I worked for a mortgage bank (Freddie Mac: prepayment models, risk measurement), a commercial bank (Bankers Trust: supporting the interest rate derivatives trading desk), and two investment banks (Morgan Stanley and Salomon Brothers: supporting derivatives trading and sales). 3. Consulting, since 1994, I have a) designed, built, documented, and reviewed ("model validation") models of the yield curve, value, and risk; b) reviewed models of value, market risk, and credit risk, managing model risk; c) supported litigators for plaintiffs and defendants; and d) trained new bank employees, Fed bank examiners, business line controllers, auditors, and a brilliant, charismatic, new member of the board of one of the world's largest banks. He wanted a refresher on quantitative management of market and credit risk. Our venue was a large, luxurious conference room in New York's St. Regis hotel, sustained by frequent deliveries of fine food and (non-alcoholic) beverages. Clients have included banks, and insurance companies, a stock exchange, and real estate investors.less